Template-Type: ReDIF-Article 1.0
Author-Name:  Debbie Dupuis, Geneviève Gauthier, and Fréderic Godin
Title:  Short-term Hedging for an Electricity Retailer
Classification-JEL: F0
Volume:  Volume 37
Issue:  Number 2
Year:  2016
Abstract:  A dynamic global hedging procedure making use of futures contracts is developed for a retailer of the electricity market facing price, load and basis risk. Statistical models reproducing stylized facts are developed for the electricity load, the day-ahead spot price and futures prices in the Nord Pool market. These models serve as input to the hedging algorithm, which also accounts for transaction fees. Back-tests with market data from 2007 to 2012 show that the global hedging procedure provides considerable risk reduction when compared to hedging benchmarks found in the literature. 
Handle: RePEc:aen:journl:ej37-2-Dupuis
File-URL: http://www.iaee.org/en/publications/ejarticle.aspx?id=2751
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